Sökning: "Nicolas Tingström"
Hittade 1 uppsats innehållade orden Nicolas Tingström.
1. Sequential parameter and state learning in continuous time stochastic volatility models using the SMC² algorithm
Master-uppsats, KTH/Matematisk statistikSammanfattning : In this Master’s thesis, joint sequential inference of both parameters and states of stochastic volatility models is carried out using the SMC2 algorithm found in SMC2: an efficient algorithm for sequential analysis of state-space models, Nicolas Chopin, Pierre E. Jacob, Omiros Papaspiliopoulos. The models under study are the continuous time s.v. LÄS MER
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